Marco Corazza () (Department of Applied Mathematics, University of Venice) Stefania Funari () (Department of Applied Mathematics, University of Venice) Federico Siviero () (Cohen & Company, Subsidiary of London)
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In this paper we propose a deterministic methodology for creditworthiness evaluation based on the Multi-Criteria Decision Analysis (MCDA) method known as MUlticriteria RAnking MEthod (MURAME). This approach allows to rank the firms according to their credit risk characteristics and to sort them into a prefixed number of homogeneous creditworthiness groups. Moreover, the methodology allows to estimate ex-post proxies of the probabilities of default and of the probabilities of transition. Then, we apply the proposed approach to check its capability to evaluate the creditworthiness in real cases; in particular, we consider the case of an important north eastern Italian bank.
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Paper provided by Department of Applied Mathematics, University of Venice in its series Working Papers with number
177.
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